Impact of Seasonality in Inflation Derivatives Pricing

CDC Ixis Quantitative Research Working Paper No. QRFI 08-04/2

6 Pages Posted: 1 Sep 2004  

Nabyl Belgrade

CDC Ixis Capital Markets

Eric Benhamou

Université Paris Est - Université Paris Est-Creteil

Date Written: August 2004

Abstract

With the growing competition on the inflation derivatives market and the resulting tightening of trading margins, it has become crucial to include seasonality in inflation models. In this paper, after reviewing how to estimate seasonality component on CPI data, we examine its impact on the pricing of various inflation linked derivatives.

Keywords: Inflation, seasonality, decomposition scheme, trend

JEL Classification: G12, G31, M21

Suggested Citation

Belgrade, Nabyl and Benhamou, Eric, Impact of Seasonality in Inflation Derivatives Pricing (August 2004). CDC Ixis Quantitative Research Working Paper No. QRFI 08-04/2. Available at SSRN: https://ssrn.com/abstract=583642 or http://dx.doi.org/10.2139/ssrn.583642

Nabyl Belgrade

CDC Ixis Capital Markets ( email )

47 quai d'Austerlitz
Paris, 75013
France
0033 (0)158551556 (Phone)

Eric Benhamou (Contact Author)

Université Paris Est - Université Paris Est-Creteil ( email )

61 avenue du Général de Gaulle
Créteil, 940000
France

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